Research

Videos

CME Matching Engine Basics: Part 1

An introductory look at the CME matching engine for Eurodollar and Treasury futures. Understanding the matching engines helps our…

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The Roll Tracker

When is the optimal time to trade your Treasury rolls? The Roll Tracker forecasts the shift of open interest for the current roll cycle using real-time data updated every 5 minutes…

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The Presence of Implied and Hidden Liquidity

Robert explains how the complex order types on the CME can combine to generate “implied” quotes. Second generation quotes…

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Transaction Analysis: An Example

We show you an example of a real algorithmic execution to illustrate how our algorithms work. By analyzing price and volume at the inside quotes and into the order…

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